Thanks for the answers guys, can I at least not accept a hero when winning one???

As long as you can put up with the annoying message about having a new hero that's no problem.

If you are not there already, once you get your toons up to level 25/26 you'll want to start giving consideration to unlocking them. If you are keen on getting far in the Distance Hard mode, you'll need every scrap of meat you can muster in order to feed the grinder.

No that it matters at the moment, but there is one drawback to unlocking the new heroes. The GW algorithm to select your 'best' heroes is broken. I saw a lot of blue and green heroes in there, all the 'new versions' of the previous heroes. Obviously the game puts priority on these new heroes, even if they are not the best.